Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0311 |
| Annualized Std Dev | 0.2205 |
| Annualized Sharpe (Rf=0%) | -0.1411 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2817.0000 |
| NAs | 1.0000 |
| Minimum | -0.1343 |
| Quartile 1 | -0.0077 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1104 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0139 |
| Skewness | -0.4813 |
| Kurtosis | 7.1422 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.7073 |
| Historical VaR (95%) | -0.0214 |
| Historical ES (95%) | -0.0323 |
| Modified VaR (95%) | -0.0227 |
| Modified ES (95%) | -0.0445 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-23 | 2020-03-19 | NA | -0.7073 | 2410 | 2157 | NA |
| 2010-04-23 | 2010-07-01 | 2010-11-04 | -0.1395 | 137 | 49 | 88 |
| 2010-01-20 | 2010-02-08 | 2010-04-01 | -0.1091 | 51 | 14 | 37 |
| 2011-05-02 | 2011-06-27 | 2011-08-22 | -0.1063 | 79 | 40 | 39 |
| 2011-02-09 | 2011-03-16 | 2011-04-29 | -0.0898 | 56 | 25 | 31 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | 3.1 | 0.4 | 1.5 | 0.5 | -0.1 | -1.7 | 0.8 | 0.7 | 1.5 | 0.3 | 1.4 | 1.3 | 10.1 |
| 2011 | 1.9 | 1.8 | -0.2 | 1.6 | -0.7 | -0.4 | 1.1 | 0.4 | -0.8 | -0.8 | 0.3 | 1.7 | 6.2 |
| 2012 | 1.8 | 1.4 | 0.7 | 0.3 | 1.9 | 4.3 | -1.2 | 2 | 1.2 | -0.1 | -0.5 | 1.2 | 13.6 |
| 2013 | 0.5 | -0.6 | 1.4 | -1.8 | -2.1 | 2.6 | 0.2 | -0.1 | -1.2 | 0.3 | 1 | 0.8 | 1 |
| 2014 | -0.4 | -0.5 | 0.7 | -0.1 | -0.4 | 1.5 | 0.2 | -0.1 | -1.2 | -0.6 | 3.3 | -0.7 | 1.7 |
| 2015 | 1.6 | 1 | 1.9 | -0.8 | -0.7 | 0.5 | -0.2 | -1 | -0.6 | -0.8 | 1 | 2.5 | 4.2 |
| 2016 | -0.1 | 0.2 | -1.9 | 2.4 | -0.7 | 3.1 | 1 | -0.1 | 0.2 | 1.4 | 0.5 | 0.2 | 6.2 |
| 2017 | 0.5 | -1.1 | -0.1 | -1.8 | -1.8 | 0.4 | 0.2 | 0.9 | -1.1 | 1.6 | -0.3 | 0.2 | -2.6 |
| 2018 | 0.6 | -1.7 | -0.6 | -1.1 | -0.4 | 0.4 | -2.4 | -0.8 | 1 | 2.4 | -2.5 | 0.7 | -4.4 |
| 2019 | 0.6 | -1.8 | 0.2 | -2.6 | -0.3 | -0.4 | -1.2 | 1.9 | -0.7 | 1.8 | 0.3 | 0.9 | -1.2 |
| 2020 | -2.3 | -4.1 | -0.8 | -2.5 | 2.6 | -0.6 | 0.7 | 0.9 | 0.9 | -0.5 | 3.7 | 0 | -2.3 |
| 2021 | 4.9 | 0 | -1.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2010-01-08 159 SPY 115. 0.0033 2.81e-2 0.0453 0.0747 0.258 -0.188 -0.0341 GLD 111. 0.005 3.78e-2
2 2010-01-11 160. SPY 115. 0.0014 1.24e-2 0.0428 0.0696 0.288 -0.189 -0.0313 GLD 113. 0.0133 2.78e-2
3 2010-01-12 157. SPY 114. -0.00930 3.00e-4 0.0273 0.0555 0.307 -0.200 -0.0449 GLD 110. -0.0209 7.20e-3
4 2010-01-13 158. SPY 115. 0.0084 8.00e-3 0.0316 0.0666 0.316 -0.200 -0.0301 GLD 112. 0.0095 3.00e-4
5 2010-01-14 161. SPY 115. 0.0027 6.50e-3 0.0274 0.0514 0.362 -0.196 -0.0307 GLD 112. 0.0044 1.09e-2
6 2010-01-15 160. SPY 114. -0.0112 -8.10e-3 0.0206 0.0358 0.346 -0.205 -0.0338 GLD 111. -0.0104 -4.60e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
